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Basket Trading - Slow fills at the Open
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Created: by hughesfleming Attachments:1

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Basket Trading - Slow fills at the Open

  #1 (permalink)
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Basket Trading - Slow fills at the Open

I have been testing a strategy that executes a dollar neutral Long/Short Basket of S&P100 stocks. These are being submitted as pending market orders before the open using SMART routing. They are closed a couple of minutes ahead of the 4:00pm close and then re balanced for the next day.

What I am trying to understand better is why these orders are taking a relatively long time to fill (about 1:40). It seems like there are many small time gaps between the orders.

Closing the orders at the end of the day is the opposite. Almost no delay at all. Does anyone have any suggestions how I might get these orders filled closer to the opening price? It seems like TWS is sending one at a time, getting confirmation and then sending the next. This seems like quite an inefficient way of doing things. Is there another way to set this up that works better?

regards,

Alex

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  #2 (permalink)
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Hi there.

I'm new, so excuse me if the question is silly, and I'm sorry if I can't help you, but I'm looking forward to create dollar neutral play with the basket trader as well.

So far tho, if i put in the box the 2 symbols i want to long and short, it just put 100 shares on both sides, making that everything but neutral.

I have read i have to change the settings in that very page regarding the order being weighted in dollars, but nothing changes, so either it doesn't work or i'm doing something wrong.

Sorry if i went a bit off topic, but there aren't a lot of people talking about the basket trading feature of TWS. And thank you in advance

Oh, one thing: check if the type of order entry. Seems like, even if the exit is a market order, the entry is not that type of order.

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  #3 (permalink)
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Hi Casacup,

Setup one long basket and then one short basket. Where you see "Quantity 100%", click the drop down and select the dollar amount that you want for each basket. You will have to "Transmit" each basket separately before the open. Basket trader will then calculate the position size. You will have to have the same number of positions in each basket if you want a neutral position.

I have now moved to an automated strategy using Multicharts Portfolio Trader but Basket Trader worked well while I was using it. I did eventually "solve" my open delays by executing slightly after the open using regular market orders. Now it takes me about 10-20 seconds to get filled on 20-30 orders which is fine.


Alex

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  #4 (permalink)
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hughesfleming View Post
Hi Casacup,

Setup one long basket and then one short basket. Where you see "Quantity 100%", click the drop down and select the dollar amount that you want for each basket. You will have to "Transmit" each basket separately before the open. Basket trader will then calculate the position size. You will have to have the same number of positions in each basket if you want a neutral position.

I have now moved to an automated strategy using Multicharts Portfolio Trader but Basket Trader worked well while I was using it. I did eventually "solve" my open delays by executing slightly after the open using regular market orders. Now it takes me about 10-20 seconds to get filled on 20-30 orders which is fine.


Alex

thank you so much for the answer. Seeing your answer, probably tws was "smart" enough to wait for the liquidity to come in and reduce the bid and ask spread before taking your orders. But that can also not be true.

Regarding what i posted: unfortunately i still see this
EDIT: I can't post links or images yes. Basically i put
- first contract of the basket trader: XLK, long
- second contract: XLY, short
- quantity: 10000 usd
- I flag the option "use per-contract quantity percentage
"In my mind", if i put as value XLK, XLY and 10000 usd I'm saying to the system "buy me 10g of xlk and sell 10g of xly". The order tho is showing the same amount of shares.
Also, if i try to transmit the order it says "Sum of the % column must be 100%".

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  #5 (permalink)
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Casacup,

Keep all your long orders in one basket and then create a second basket for your short orders. The system will show you the same quantities because the market is closed. Once you transmit the orders the sizes will calculate if the market is open. It was confusing for me as well at first. Try testing everything using the IB paper trader after the weekend.

Alex


Last edited by hughesfleming; September 10th, 2016 at 03:52 PM.
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  #6 (permalink)
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hughesfleming View Post
Casacup,

Keep all your long orders in one basket and then create a second basket for your short orders. The system will show you the same quantities because the market is closed. Once you transmit the orders the sizes will calculate if the market is open. Try testing everything using the IB paper trader after the weekend.

Alex

Thanks so much. If this work is gonna be a gamechanger for me. I trade synthetic pairs intraday and i just quickly do the math in my head to enter and exit, and this is gonna make everything easier.
I'm still not sure what do you mean when you say "create 2 different baskets". But i can probably figure that out.

If it's ok, i'm gonna post here the result (or the failure) of the process next week. And seeing the volatility that is coming in it should be fun.

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  #7 (permalink)
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There is tab labeled "+" which you can use to add multiple baskets. You can then save different baskets once you have created them.

Best of luck,

Alex

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  #8 (permalink)
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hughesfleming View Post
There is tab labeled "+" which you can use to add multiple baskets. You can then save different baskets once you have created them.

Best of luck,

Alex

ohhhh so i have to place the orders in different tabs. Ok that was not trivial to understand (at least for me), thank you!

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  #9 (permalink)
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Yes! Now go and enjoy your weekend! I had the same problem in the beginning.

Alex

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